An Introduction to Stochastic Differential Equations

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An Introduction to Stochastic Differential Equations - Evans, Lawrence C.
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This book provides a quick, but very readable introduction to stochastic differential equations-that is, to differential equations subject to additive "white noise" and related random disturbances. The exposition is strongly focused upon the interplay between probabilistic intuition and mathematical rigour. Topics include a quick survey of measure theoretic probability theory, followed by an introduction to Brownian motion and the Ito stochastic calculus, and finally the theory of stochastic differential equations. The text ...

An Introduction to Stochastic Differential Equations 2014, American Mathematical Society, Providence

ISBN-13: 9781470410544

Hardcover

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